Most likely that either you haven't set up command line mame properly or the paths in your ini file are wrong.
What type of mame (Mame32, Command line mame etc) are you using and where is your mame.exe located on your computer?.
Try launching a game from the command line. If that works then its a problem with the .ini. If it won't launch a game from a command line then mame hasn't been set up properly.
If you are in the UK and anywhere near Essex/E.London if you get really stuck send me a PM and I might be able to come and set it up for you as I'm out and about in London and Essex on a daily basis.